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How to find similar stocks? Please advise

I have been researching mean reversion for a while now and have several techniques to identify mean reverting baskets of stocks. I want to take it to the next level and select similar stocks in a basket so that I don't run mean reversion on a random basket.

One way to find out similar baskets is to group them by morning star sector or industry group.
Also one can use price data to build a covariance matrix and use clustering techniques.

But I want to extend these tests beyond price data and use macro economic factors and fundamentals into this analysis.

So if there are any experts out there could you please suggest some ways to find "similar" stocks?

1 response

Found something here

If you find other references, kindly share.